Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3499 |
| Annualized Std Dev | 0.4950 |
| Annualized Sharpe (Rf=0%) | -0.7069 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3236.0000 |
| NAs | 1.0000 |
| Minimum | -0.4330 |
| Quartile 1 | -0.0154 |
| Median | -0.0023 |
| Arithmetic Mean | -0.0012 |
| Geometric Mean | -0.0017 |
| Quartile 3 | 0.0120 |
| Maximum | 0.2167 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0023 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0010 |
| Stdev | 0.0312 |
| Skewness | -0.5743 |
| Kurtosis | 16.9993 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0219 |
| Gain Deviation | 0.0240 |
| Loss Deviation | 0.0229 |
| Downside Deviation (MAR=210%) | 0.0270 |
| Downside Deviation (Rf=0%) | 0.0225 |
| Downside Deviation (0%) | 0.0225 |
| Maximum Drawdown | 0.9985 |
| Historical VaR (95%) | -0.0436 |
| Historical ES (95%) | -0.0707 |
| Modified VaR (95%) | -0.0467 |
| Modified ES (95%) | -0.0648 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-15 | NA | -0.9985 | 2797 | 2792 | NA |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3422 | 17 | 6 | 11 |
| 2007-03-14 | 2007-10-09 | 2008-01-17 | -0.3014 | 209 | 140 | 69 |
| 2008-01-18 | 2008-05-19 | 2008-09-17 | -0.2785 | 168 | 84 | 84 |
| 2008-10-10 | 2008-10-13 | 2008-10-15 | -0.1857 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 1.1 | -0.3 | -0.3 | -0.2 | 0.5 | -0.2 | -1.9 | -3 | 4.4 | -0.4 | 1.6 | 1.2 |
| 2008 | -3.6 | 4.5 | -6.3 | -3.5 | -1.4 | 0.2 | 1.2 | 2.4 | 4.9 | -5.3 | 16.9 | -5.2 | 2.7 |
| 2009 | 4.6 | 4.1 | -2.7 | -1.4 | -8.9 | -1.6 | -1.4 | 3.9 | 5.4 | 5.5 | -2.7 | 2.4 | 6.4 |
| 2010 | -2.5 | -2.3 | -1.4 | 4.1 | 4.6 | 1.2 | -0.9 | -7.5 | -0.2 | -0.1 | -4.9 | -0.1 | -10.2 |
| 2011 | -3.3 | 4 | -1.8 | -0.6 | 5.9 | -3.6 | 1.3 | 3 | 6.2 | 6.8 | 0.3 | 0.8 | 19.9 |
| 2012 | -2.9 | -0.8 | -0.5 | -1.2 | 5.6 | -6.5 | 1.6 | -1.5 | -0.1 | -3.2 | -0.2 | -2.7 | -12.2 |
| 2013 | -1.9 | 1.9 | 2.7 | 0.4 | -1.4 | -2.4 | -3.7 | -1.3 | -1.2 | 0.1 | -0.7 | -0.7 | -8.1 |
| 2014 | 0.9 | -0.9 | -1.6 | -1.2 | 0.5 | -0.6 | -0.3 | 1.3 | 4.6 | -2.8 | 4.6 | 2.3 | 6.9 |
| 2015 | -0.4 | 0.6 | 1.6 | 2.3 | 1.6 | -0.5 | -1.4 | 6.4 | 1.5 | -0.7 | 0 | 1.6 | 13.2 |
| 2016 | 0.8 | -4.7 | 1.3 | 2.1 | 0 | -2.8 | 0.9 | 1.3 | -2.3 | 0.1 | 0.4 | 0.7 | -2.4 |
| 2017 | 1.2 | -4.4 | -0.1 | 1.1 | -1.8 | -2.5 | -0.9 | -0.3 | -0.8 | 3.6 | -4.9 | -0.5 | -10.2 |
| 2018 | 4.1 | 7 | -2.9 | 1.9 | -1.8 | -0.4 | 1.4 | 0.5 | -2.1 | -2 | -1.6 | -1.5 | 2.2 |
| 2019 | -0.3 | -1 | -2.7 | 1.7 | 2.5 | -1.1 | 3.1 | -0.2 | 4.3 | -3.9 | 1.2 | -0.2 | 3.2 |
| 2020 | 4.7 | 3.9 | 8.8 | 5.7 | -1.2 | 0.2 | 0.6 | -1.8 | 1 | 2.1 | -0.8 | -1.2 | 23.6 |
| 2021 | -4 | -5 | 1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -7.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 2158. SPY 145. 0.006 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 6.00e-3 0.0181
2 2007-02-08 2147. SPY 145. -0.0013 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 1.38e-2 0.0046
3 2007-02-09 2181. SPY 144. -0.0074 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 9.20e-3 0.0286
4 2007-02-13 2153. SPY 145. 0.0084 -0.0016 0.0099 0.0469 0.142 0.246 0.298 GLD 65.8 2.60e-3 0.0162
5 2007-02-14 2085. SPY 146. 0.0066 0.0028 0.0185 0.0533 0.152 0.259 0.311 GLD 66.4 8.00e-3 0.0269
6 2007-02-15 2076. SPY 146. 0.0013 0.0054 0.0194 0.0521 0.141 0.266 0.299 GLD 66.4 6.00e-4 0.0136
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
